Optimal objective function in high-dimensional regression

Optimal objective function in high-dimensional regression

Report Number
810
Authors
Derek Bean, Peter Bickel, Noureddine El Karoui, Bin Yu
Abstract

We consider, for the fi rst time in the modern setting of high- dimensional statistics, the classic problem of optimizing the objective function in regression. We propose an algorithm to compute this optimal objective function that takes into account the dimensionality of the problem.

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